搜索结果: 1-3 共查到“理论经济学 Portfolio choice”相关记录3条 . 查询时间(0.078 秒)
Portfolio Choice with Transaction Costs: a User's Guide
transaction costs long-run, portfolio choice Merton problem.
2012/9/14
Recent progress in portfolio choice has made a wide class of problemsinvolving transaction costs tractable. We review the basic approach to these problems,and outline some directions for future resear...
On the Exact Solution of the Multi-Period Portfolio Choice Problem for an Exponential Utility under Return Predictability
multi-period asset allocation expected utility optimization exponential utility func-tion return predictability.
2012/9/14
In this paper we derive the exact solution of the multi-period portfolio choice problem for an exponential utility function under return predictability. It is assumed that the asset returns depend on ...
A Closed-Form Solution of the Multi-Period Portfolio Choice Problem for a Quadratic Utility Function
multi-period asset allocation quadratic utility function closed-form solution tan-gency portfolio
2012/9/14
In the present paper, we derive a closed-form solution of the multi-period portfolio choice problem for a quadratic utility function with and without a riskless asset. All results are derived under we...